Asymmetric currency exposure and currency risk pricing

Chu Sheng Tai

doi:10.1016/j.irfa.2007.09.002

Asymmetric currency exposure and currency risk pricing

Chu Sheng Tai

Texas Southern University

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	647-663
Number of pages	17
Journal	International Review of Financial Analysis
Volume	17
Issue number	4
DOIs	https://doi.org/10.1016/j.irfa.2007.09.002
State	Published - Sep 2008

ASJC Scopus Subject Areas

Finance
Economics and Econometrics

Keywords

Asymmetric currency exposure
Multivariate GARCH-M
Time-varying currency risk premium

Access to Document

10.1016/j.irfa.2007.09.002

Cite this

@article{ebe561f7cf9746edb1bafdc3d466eac5,

title = "Asymmetric currency exposure and currency risk pricing",

keywords = "Asymmetric currency exposure, Multivariate GARCH-M, Time-varying currency risk premium",

author = "Tai, \{Chu Sheng\}",

year = "2008",

month = sep,

doi = "10.1016/j.irfa.2007.09.002",

language = "English",

volume = "17",

pages = "647--663",

journal = "International Review of Financial Analysis",

issn = "1057-5219",

number = "4",

}

TY - JOUR

T1 - Asymmetric currency exposure and currency risk pricing

AU - Tai, Chu Sheng

PY - 2008/9

Y1 - 2008/9

KW - Asymmetric currency exposure

KW - Multivariate GARCH-M

KW - Time-varying currency risk premium

UR - https://www.scopus.com/pages/publications/49349097227

UR - https://www.scopus.com/pages/publications/49349097227#tab=citedBy

U2 - 10.1016/j.irfa.2007.09.002

DO - 10.1016/j.irfa.2007.09.002

M3 - Article

AN - SCOPUS:49349097227

SN - 1057-5219

VL - 17

SP - 647

EP - 663

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

IS - 4

ER -

Asymmetric currency exposure and currency risk pricing

ASJC Scopus Subject Areas

Keywords

Access to Document

Other files and links

Cite this